Does orthogonalization really purge equity based property valuations of their general stock market influences?

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Tsolacos, S. (2000) Does orthogonalization really purge equity based property valuations of their general stock market influences? Applied Economics Letters, 7 (5). pp. 305-309. ISSN 1350-4851 doi: 10.1080/135048500351447

Abstract/Summary

This paper uses a recently developed nonlinear Granger causality test to determine whether linear orthogonalization really does remove general stock market influences on real estate returns to leave pure industry effects in the latter. The results suggest that there is no nonlinear relationship between the US equity-based property index returns and returns on a general stock market index, although there is evidence of nonlinear causality for the corresponding UK series.